I prepared a sample project in which I tried to reproduce the issue that you are describing. The MessageBox I used is shown before the closing of the Pane and if you click Cancel, the closing is canceled.
Hope this helps. Please let us know if you still experience difficulties.
the Telerik team
Do you want to have your say when we set our development plans? Do you want to know when a feature you care about is added or when a bug fixed? Explore the Telerik Public Issue Tracking
system and vote to affect the priority of the items